Start from the start: Think of it like moving to a new a city. In the first series there are the bunch of people and a neighbourhood you get to know. As the series run you get to know them better, but your world expands to include all the people they know (and the people they know) and you also get familiar with more and more of the city too.

In a normal TV series there are only three of four plot lines - one or two stories that only last an episode and the slow developing backstory of the regular characters. In the Wire nothing stops, nothing is contained by an episode, plots run and run, rather than starting and concluding in one show, after a while there are 20 odd plot lines all running, some to the fore, some ticking over in the background.

To echo what everyone else has said, start from the beginning. Series one does take a while to get into and the lingo is a bit hard to understand to begin with. Surprisingly I struggled with the police lingo more than the street lingo.
The best ever

On a serious note, one of the coolest things about it is the dynamics between the characters. You can remain attached to them even when you don't know exactly what's going on. Makes it more immersive. Every single player has a role to play and it's easy to feel for them; good, bad or indifferent. Epic TV.